How to choose a name is up to you
In the end, it's all up to you how to choose a name. You could open a dictionary at a random word, look for a name with a specific meaning or use your favorite author, but in the end it is up to you to choose a method to come up with a name.
What makes a name: Parts of a name
A name is more than just one word. In fact, it might have, in its totality, quite many words that each fall into about four categories.
Almost all people have at least one given name, which is how one identifies as in an intimate peer group. Depending on culture, this name might be dropped for another one later, but in general, everybody has at least one First Name.
If the name gets dropped on adulthood for another, it's often considered a Childhood Name, in contrast to the Adult Name.
A special type of first name is the Order Name, where one changes the original given name for one because one enters some kind of brotherhood or sisterhood. If the name is only used within the order, it is a calling name, if it is a replacement name for the whole world, it's a first name.
The first name isn't always the name one calls out for a person with. Such names could take the form of Stage Names for theatrical people (which can be inherited like in Kabuki), Pen Names ('Richard Bachmann'), Battle Names to protect one's true identity ('Batman'), Deed Names or Commemorative Names ('he who finds water') or in general Nicknames. Sometimes, Nicknames are short for the real name - Cassandra becomes Cass, Richard become Rick.
Then there are Occupational Names which typically indicate the profession of a person and can slip into the surname category, but don't necessarily have to. An example for the latter is 'Smith'.
Derogative Names fall into the same category and can have overlap with the Occupational Names, especially if the occupation is seen down upon - e.g. 'Slave' or 'Gravedigger'.
Some of these calling names might be given by others because the First Name is utterly unpronounceable or far too long! - and might not be a name the character likes. For example, Hepzibah was called that name for it was unpronounceable by the others, but she utterly disliked it in Uncanny X-Men vol 1 #107:
Many cultures have some kind of heritage identifier as part of the name. This is typically seen as the Family Name, Lineage Name or Clan Name, but can also consist of several parts. For example, it could consist of a major family Name onto which a Branch Name is affixed.
Then, there are Origin Names, which are typical for when surnames are not common (for a part of society) but are usually only used outside of the own town or province. The typical particle in English to join the locale to the name is 'from', but in some cases is 'of'. As a random example 'Alice from Bobton' separates her from the local Alice when she is in Charlston.
Surnames also can contain nobility particles, like the german von/vom, Dutch van, French de/du or the English of.
And then there are titles. Often, these are indicators of nobility or special positions and can be used as a complete replacement for all other name parts unless several holders of the same title are present.
Sir, Doctor or Abbot are such examples, but so are military ranks. Landed nobility can often be called by their land: The Lord of Worchestershire can be addressed by this title alone.
Names for Gaming
Now, I have pointed in several areas to cultural quirks on naming practices. Yes, names are indicative of a culture of origin. Also, some names fit into some games but not into others, because there is a culture that matches or belongs to the game's setting. So, let's explore that first with some examples:
If a name fits the setting is setting and culture dependant
Now, if you are worried if a name fits a setting, the litmus test for modern names fitting into a setting's culture is pretty much if there is a culture that is similar enough to the name's culture of origin. So, for example, the name...
- ...Tachibana Mamoru. That name feels right at home in a game of sengoku set in medieval Japan or into a game of besm set in an Anime world. Both use the Japanese naming format and typical Japanese names. But it feels alien in a game in ravenloft.
- ...Sir Arthur Allan Francis Pickering. With a name like that, this person feels right at home in a game set in the late 1800s to about 1930, and in fact, I would expect such a name in a game of call-of-cthulhu in the 1920 - and that this person is British. But it feels alien in a forgotten-realms game.
- ..."Wyrmskinner". Being a Calling Name, this one would fit a fantasy setting where one skins draconian beings by the name of Wyrm just as much as it fits into a game of werewolf-the-apocalypse. But it might not be the only name that character has.
These random examples show one thing: Names belong to settings. Or rather, Names belong to cultures within a setting and indicate them. As long as the game contains a culture, it can contain the name: Mr. Tachibana Mamouru could also be the Japanese bookworm in a Cthulhu group or the corporate Werewolf from Tokyo. Sir Pickering might be a British Gaijin in a game of Sengoku or just a snobby Brit in a game of Werewolf.
Consult your sourcebooks!
Now, when does a name fit a fantasy game's culture, which might be entirely invented by the authors? That is the question you ought to ask yourself. Often, games publish source material that contains cultural (or, a D&D calls it inappropriately: racial) information, including for fantasy species. And this information often contains a sample list of names.
These name lists are usually picking up the setting and the cultures depicted in them. In the list for the 2017 Conan RPG, we learn that typical Cimmerian names are Ronan and Wenna 1. In the supplement for Elven Culture in The Dark Eye 4, we learn that Elves in Aventuria have at least two names, one of which is in the elven tongue and unique while the other is either a group name or 'nickname' that is typically in elven too but is usually told to humans translated into the regional tongue. By mix-matching the parts from the example list, Mandara "Hazelbush" is just as typical as Delayar "Spearseeker" for an Aventurian Elf 2.
And in case it is Forgotten Realms: Consult Dragon Magazine
And then there's Owen K.C. Stephens, who wrote for Dragon Magazine. Among other things, he wrote an article suggesting an Elven Name Generator in Dragon 251 3. In fact, he wrote also the Dwarven names for 261, as he tells us in a blogpost, and seems to be responsible for several entries in the "By any other name" series of articles, such as Gnomes (#262) and the Underdark (#267).
- Conan - Adventures in an Age undreamed of (2017), p.48
- Aus Licht und Traum - Die Elfen Aventuriens (2006), p.57-58
- Owen K.C. Stephens: By Any Other Name; in: Dragon Magazine #251 (1998), pp.52